CSR non-Sec Risk Charge

sbm
Description The risk charge for risk class CSR non-Sec across sensitivity types under the ‘Medium correlations’ scenario
Variations
Reference [MAR21.4]
Formula $$RiskCharge\_MediumCorr^{Delta}+RiskCharge\_MediumCorr^{Vega}+RiskCharge\_MediumCorr^{Curvature}$$

See also